Product ID 201

BU232 Homework 1.1 – T-bond Prices and Yields

 

Homework 1.1 – T-bond Prices and Yields
I.
Consider the Treasury bonds below with principal of $1,000,000, where “today” is
13 January 2016:

1. Find the bid and asked prices and the bid-asked spread for Bond 1
Bid price = $______1030703_________
Asked price = $______1031016_________
Bid­Asked spread = $____313______
2. Using Excel’s date function find the remaining maturity in years for Bond 1
Maturity = ___28.84__ years
3. If Bond 1 is sold “today” find the bond’s invoice price
AI = $____4862.64______, Invoice price = $___1035253.64____________
II.

Using Excel’s function complete the following calculations
1. Using Excel’s price function find the asked price for Bond 2
Price = $__1190938_____________
2. Using Excel’s yield function find the asked YTM for Bond 3
YTM = __2.819___ %

Prof. R. Philip Giles

BU232.720 Fixed Income